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Allocation of economic capital in loan portfolios

Overbeck, Ludger - In: Measuring risk in complex stochastic systems, (pp. 1-17). 2000

Persistent link: https://www.econbiz.de/10001579693

Credit risk portfolio modeling: an overview

Overbeck, Ludger - In: Risk management : challenge and opportunity ; with 125 …, (pp. 197-217). 2005

Persistent link: https://www.econbiz.de/10002447600

Integration of credit and market risk

Overbeck, Ludger - In: Risk management : a modern perspective, (pp. 341-365). 2006

Persistent link: https://www.econbiz.de/10003271420

An infinite factor model for credit risk

Schmidt, Thorsten - In: International journal of theoretical and applied finance 9 (2006) 1, pp. 43-68

Persistent link: https://www.econbiz.de/10003285916

Stochastic essentials for the risk management of credit portfolios

Overbeck, Ludger; Stahl, Gerhard - In: Kredit und Kapital 36 (2003) 1, pp. 52-81

Persistent link: https://www.econbiz.de/10001758774

An introduction to credit risk modeling

Bluhm, Christian; Overbeck, Ludger; Wagner, Christoph - 2003

Persistent link: https://www.econbiz.de/10001674383

Systematic risk in homogeneous credit portfolios

Bluhm, Christian; Overbeck, Ludger - In: Credit risk : measurement, evaluation and management ; …, (pp. 35-48). 2003

Persistent link: https://www.econbiz.de/10002001344

An introduction to CDO modelling and applications

Bluhm, Christian; Overbeck, Ludger - In: Credit risk models and management, (pp. 419-481). 2004

Persistent link: https://www.econbiz.de/10002433374

Risikoanalyse strukturierter Kreditprodukte

Bluhm, Christian; Overbeck, Ludger - In: Aktuelle Entwicklungen im Bankcontrolling: Rating, …, (pp. 119-144). 2005

Persistent link: https://www.econbiz.de/10002633365

Heterogeneous T-Copula Implementation in a Credit Portfolio Model

Binnenhei, Carsten - 2017

A flexible way to incorporate heterogeneous tail-dependency into dependency modeling based on a recently proposed modification of the t-copula is presented and applied to a realistic credit portfolio. The heterogeneous t-copula is assumed for the underlying multivariate factor model and it is...

Persistent link: https://www.econbiz.de/10012965230